Exponential convergence of the Kalman filter based parameter estimation algorithm

DOI10.1002/ACS.774zbMATH Open1048.93089OpenAlexW2123124454MaRDI QIDQ4452386FDOQ4452386

Howard M. Schwartz, Liyu Cao

Publication date: 12 February 2004

Published in: International Journal of Adaptive Control and Signal Processing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/acs.774

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zbMATH Keywords

Kalman filterconvergence ratelinear systemsexponential convergencerecursive parameter estimation

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Linear systems in control theory (93C05) Discrete-time control/observation systems (93C55) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

Cites Work

• Matrix Analysis

Cited In (12)

• Uniform observability and exponential convergence rate of the Kalman filter for the FIR deconvolution problem.
• CONVERGENCE ANALYSIS OF EXTENDED KALMAN FILTER IN A NOISY ENVIRONMENT THROUGH DIFFERENCE EQUATIONS
• Convergence of discrete-time Kalman filter estimate to continuous time estimate
• Gradient descent in the absence of global Lipschitz continuity of the gradients
• Kalman filter‐based adaptive control for networked systems with unknown parameters and randomly missing outputs
• Characterization of Exponential Divergence of the Kalman Filter for Time-Varying Systems
• Title not available (Why is that?)
• A recursive parameter estimator yielding exponential convergence under sufficient excitation
• Analysis of the Kalman filter based estimation algorithm: An orthogonal decomposition approach.
• Comparison of the convergence rates of the new correntropy-based Levenberg-Marquardt (CLM) method and the fixed-point maximum correntropy (FP-MCC) algorithm
• Kalman filter-based identification for systems with randomly missing measurements in a network environment
• Convergence results for the Gaussian mixture implementation of the extended-target PHD filter and its extended Kalman filtering approximation

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